In linear algebra, a Toeplitz matrix or diagonal-constant matrix, named after Otto Toeplitz, is a matrix in which each descending diagonal from left to right is constant. For instance, the following matrix is a Toeplitz matrix:
Any n×n matrix A of the form
is a Toeplitz matrix. If the i,j element of A is denoted Ai,j, then we have
Solving a Toeplitz system
A matrix equation of the form
is called a Toeplitz system if A is a Toeplitz matrix. If A is an Toeplitz matrix, then the system has only 2n−1 degrees of freedom, rather than n2. We might therefore expect that the solution of a Toeplitz system would be easier, and indeed that is the case.
Toeplitz systems can be solved by the Levinson algorithm in Θ(n2) time. Variants of this algorithm have been shown to be weakly stable (i.e. they exhibit numerical stability for well-conditioned linear systems). The algorithm can also be used to find the determinant of a Toeplitz matrix in O(n2) time.
A Toeplitz matrix can also be decomposed (i.e. factored) in O(n2) time. The Bareiss algorithm for an LU decomposition is stable. An LU decomposition gives a quick method for solving a Toeplitz system, and also for computing the determinant.
A Toeplitz matrix may be defined as a matrix A where Ai,j = ci−j, for constants c1−n … cn−1. The set of n×n Toeplitz matrices is a subspace of the vector space of n×n matrices under matrix addition and scalar multiplication.
Toeplitz matrices are also closely connected with Fourier series, because the multiplication operator by a trigonometric polynomial, compressed to a finite-dimensional space, can be represented by such a matrix.
The convolution operation can be constructed as a matrix multiplication, where one of the inputs is converted into a Toeplitz matrix. For example, the convolution of and can be formulated as:
- Circulant matrix, a Toeplitz matrix with the additional property that .
- Hankel matrix, a Toeplitz matrix "upside down".
- Toeplitz operator, a Toeplitz matrix with infinitely many rows and columns.
- Press et al. (2007).
- Krishna & Wang (1993).
- Monahan (2011).
- Brent (1999).
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- Stewart (2003).
- Chen et al. (2006)
- Chan & Jin (2007).
- Chandrasekeran et al. (2007).
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- Chen W.W., Hurvich C.M., Lu Y. (2006), "On the correlation matrix of the discrete Fourier transform and the fast solution of large Toeplitz systems for long-memory time series", Journal of the American Statistical Association, 101: 812–822. doi:10.1198/016214505000001069
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- Monahan J.F. (2011), Numerical Methods of Statistics (Cambridge University Press), §4.5—Toeplitz systems.
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- Stewart M. (2003), "A superfast Toeplitz solver with improved numerical stability", SIAM Journal on Matrix Analysis and Applications, 25: 669–693. doi:10.1137/S089547980241791X